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Strategies / Mean reversion / Dip Line Cross With Time Exit

Dip Line Cross With Time Exit

Buys when the low crosses under a dip line, which is the 10 bar average of the low minus 2 times ATR(20). Closes the long on any bar where a buy signal occurred exactly 20 bars earlier.

Mean reversionLong onlyIntradayDow Jones10 min
n/aProfit factor
7,829Net profit EUR
52.72%Win rate
2,570Trades
-5,348Max drawdown
3.05Avg trade

Best run of 7. Dow Jones, 10 min, spread 3, from run sweeps:2026-10-12-DOW30-10m-opt.tsv:13.

Entry rules, long

  2. Entries are only taken after bar 35.

Exit rules

  2. No stop or target is set.

Test conditions

PeriodUp to 2026-10-12
InstrumentDow Jones, 10 minutes
Spread3 points
Starting capital1,000,000
CostsSpread only. Commissions and overnight financing are not included.
BarsUp to 200,000 bars, fewer where the instrument has less history
Last tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Dow JonesBest run10 minn/a 2,57052.727,829 EUR-5,348
Dow JonesDailyn/a 15059.3314,353 EUR-8,962
Nasdaq 100Dailyn/a 14963.0912,657 EUR-3,350
FTSE 100Dailyn/a 19062.117,550 EUR-2,098
DAX 40Dailyn/a 29752.866,610 EUR-5,320
S&P 500Dailyn/a 18862.772,664 EUR-964
GoldDailyn/a 18454.891,292 EUR-467

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Dip Line Cross With Time Exit
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 10 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE myBuy = 0

dip = low - AverageTrueRange[20](close) * 2
dipsma = Average[10](dip)

15 more lines: the entry and exit rules.

Setup

How to load it

  1. Copy the code with the copy button on the code block.
  2. In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
  3. Paste the code, give the system a name and save it.
  4. Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

ATRSMA
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 5,348 EUR is large next to the net profit of 7,829 EUR.

Questions

About this strategy

Can I run Dip Line Cross With Time Exit in ProOrder?

Yes. The code is ProBuilder and runs as an automated ProOrder system. Backtest it on your own account with your own spread and position size before trading it live.

Which markets was it tested on?

It was tested on 7 market and timeframe combinations. The best run by trade count was Dow Jones, 10 minutes, with 2,570 trades.

How large was the drawdown?

The best run had a maximum drawdown of 5,348 EUR at the tested position size, against a net result of 7,829 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

Strategies like this one

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

Turtle Trade

Best run on the same market, Dow Jones.

2.42 PF · 6,324 trades

ATR Band

Also a mean reversion strategy.

10.31 PF · 53 trades

See how ProRealAlgos combines strategies like this into one automated portfolio.

Copy trading on US indices is available to ProRealAlgos members as spots open.

Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.comStatsDocs